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Do fluctuations in wine stocks affect wine prices?

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  • Bukenya, James O.
  • Labys, Walter C.

Abstract

Globalization and the expansion of world wine trade have caused a wine boom that together with agricultural subsidies have made fluctuations in wine inventories a more critical issue. In the case of domestic and international wine markets, little is known about intertemporal inventory adjustments and how they relate to prices. We investigate possible dynamic relations between these variables in a time series context, so as to better understand how wine producers and traders can face growing price and financial volatility. Countries for whom meaningful data series could be constructed include: Argentina, Australia, France, Germany, Italy, Spain and the United States. The study begins by examining the empirical evidence on inventories in these markets and their relation to prices. Stationarity tests are first performed to assess likely trends in the wine inventory and price variables. Cointegration analysis follows to analyze the stationary relationships between these variables. To explain the dynamics of this relationship, vector autoregressions have been estimated and impulse functions are computed to measure possible delays between variable reactions.

Suggested Citation

  • Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.
    • Handle: RePEc:ags:aawewp:37317
    DOI: 10.22004/ag.econ.37317
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    File URL: https://ageconsearch.umn.edu/record/37317/files/AAWE_WP08.pdf
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    References listed on IDEAS

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    Cited by:

    1. Lucia Baldi & Massimo Peri & Daniela Vandone, 2013. "Investing in the wine market: a country-level threshold cointegration approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 493-503, March.
    2. Lucia BALDI & Massimo PERI & Daniela VANDONE, 2010. "Is wine a financial parachute?," Departmental Working Papers 2010-01, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    3. Carole Maurel & Françoise Pierrot & Foued Cheriet & Paul Amadieu, 2019. "Inventories in the wine industry: From sector and financial determinants to strategic behaviors," Post-Print hal-02789122, HAL.

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